Capital Modelling Actuary

5 days left

City of London
£75000 - £100000 per annum
02 Sep 2020
02 Oct 2020
Elizabeth Charlesworth
Job Function
Contract Type

elling function at is responsible for the provision of statistical data and analytical support to the company. However, more than that, the business prides itself on actively supporting the use of the Economic Capital Model ("ECM") in its business for both the Group and its legal entities, making use of the model to deliver real business results while ensuring prudential requirements are met at local and group level.

The function comprises two closely linked teams, with a Group Modelling team coordinating the maintenance, development and use of the ECM and a Regulatory Platform team focusing on analysis and reporting to support the group and entity regulatory relationships.

This role is for a highly driven and capable individual to lead the Group Modelling team. The role will suit a high-calibre qualified actuary with experience in the non-life insurance sector, gained through consultancy or in-house at a London Market firm.

The ideal candidate will have very strong analytical and communication skills, and be someone who can get to grips with both the technical and commercial aspects that the role demands.

Key Responsibilities

  • Support the ECM Production Manager in the day-to-day operation of the ECM Production team, including coordination of ECM updates, model runs and regular analysis as required to support ECM deliverables and liaising with other functions as necessary for provision of data inputs or model results
  • Responsibility for one or more of the components-or modelling functions-of the capital model, including day-to-day model runs, maintenance and development
  • Involvement in key uses of the capital model, including scenario assessments in support of capital planning, assessment of efficacy of outwards reinsurance arrangements and optimisation of underwriting strategy
  • Involvement in the business planning and reforecasting processes, including the production of capital calculations and associated exhibits, including explanations of movements from both a technical and 'real-world' perspective
  • Production of regular model updates as required, including updates to parameters, data, exposure and reinsurance inputs
  • Direct parameterisation of risk categories as necessary, as well as involvement in parameterisation work conducted by other functions, including challenge and review where necessary, to ensure the ongoing appropriateness and robustness of the ECM
  • Production of ECM deliverables to support other functions as required
  • Implementation of elements of the annual model development plan as required, including analysis of change and production of approval papers for internal committees
  • Supporting the effective and pro-active communication of capital model results and analysis to key stakeholders across the group, including explanation of movements in capital arising from changes to the underlying risk profile of the firm, or from changes to the model's methodologies, assumptions or parameters
  • Supporting the Regulatory Platform team in production of deliverables to various regulatory entities relevant to the business , i.e. the PRA, Lloyd's of London and the BMA as well as rating agencies.
  • Supporting the Model Uses actuary in the commercial application of the ECM
  • Compliance with the ECM's operational control processes and other processes deriving from Internal Model policies (e.g. model change, documentation etc.) and proactively seeking to improve existing controls and processes that currently exist
  • Supporting the team and stakeholders from other teams in the validation process of all aspects of the capital model
  • Participation on actuarial research & development projects, as may be required
  • Assisting in other areas of capital modelling or risk management / reporting and processes, as may be required


  • Graduate with a 1st or Upper 2nd (2:1) degree from a top-tier university, in a subject involving a high level of numerical or quantitative content
  • Qualified actuary
  • At least 5 years of experience of actuarial work in the non-life insurance sector (ideally gained within a consultancy or London Market organisation)
  • Experience of non-life Capital Modelling techniques and analysis (Tyche or Igloo knowledge highly desirable), including application to Solvency II or equivalent regimes
  • Strong communication skills, both oral and written
  • Ability to coordinate complex process and interactions and / or management experience
  • Proficient in standard software tools (e.g. Excel, Word, PowerPoint)
  • High degree of proficiency dealing with quantitative concepts, with a strong analytical and problem-solving approach
  • Proactive approach to improving processes and challenging the status quo
  • Experience of programming highly desirable (e.g. VBA, SQL)

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